Socially disadvantaged individuals and communities consistently showed lower COVID‐19 vaccination acceptance. We aimed to examine the psychological mechanisms that could explain such vaccination disparities. This study used data from serial population‐based surveys conducted since the COVID‐19 vaccination programme being launched in Hong Kong (N = 28,734). We first assessed the correlations of community‐level and individual‐level social vulnerability with COVID‐19 vaccination acceptance. Structural equation modelling (SEM) was then conducted to test whether psychological distress measured by PHQ‐4 can account for the associations between participants' socio‐economic vulnerability and COVID‐19 vaccination acceptance. The third part analysis examined whether perceived negativity of vaccine‐related news and affect towards COVID‐19 vaccines accounted for the association between psychological distress and COVID‐19 vaccination. Communities with higher social vulnerability scores and participants who had more vulnerable socio‐economic status showed lower COVID‐19 vaccination acceptance. Individuals with more vulnerable socio‐economic status reported higher psychological distress, which lowered COVID‐19 vaccination acceptance. Furthermore, higher psychological distress was associated with lower vaccination acceptance through its psychological mechanisms of processing vaccine‐related information. We proposed a renewed focus on tackling psychological distress rather than merely increasing vaccine accessibility in more socio‐economic‐disadvantaged groups for promoting COVID‐19 vaccination acceptance. [ABSTRACT FROM AUTHOR]